本文選題：應(yīng)計(jì)異象 + 持續(xù)性��； 參考：《重慶理工大學(xué)》2015年碩士論文

【摘要】：Sloan在1996年首次提出了應(yīng)計(jì)異象的概念。本文以2009—2012年我國A股上市公司的財(cái)務(wù)數(shù)據(jù)檢驗(yàn)了應(yīng)計(jì)異象的存在性。為保持應(yīng)計(jì)異象完整的研究框架,從會計(jì)盈余及其不同組成部分的持續(xù)性開始,首先檢驗(yàn)了現(xiàn)金流和應(yīng)計(jì)利潤持續(xù)性的不同,然后對應(yīng)計(jì)利潤和未來累計(jì)超額回報(bào)進(jìn)行了單變量回歸,結(jié)果顯示應(yīng)計(jì)利潤與未來累計(jì)超額回報(bào)呈現(xiàn)顯著地負(fù)相關(guān)關(guān)系;接著加入影響股票收益的風(fēng)險(xiǎn)因子進(jìn)行了多元回歸的檢驗(yàn),在加入控制變量后,應(yīng)計(jì)利潤與未來超額回報(bào)仍呈現(xiàn)顯著地負(fù)相關(guān)關(guān)系;最后再使用套利投資策略,進(jìn)一步分年度和對總體做了套利檢驗(yàn),結(jié)果發(fā)現(xiàn)總體可以獲得超過10%的超額回報(bào),這幾種方法都從不同程度上對應(yīng)計(jì)異象的存在性做了檢驗(yàn),結(jié)果表明我國資本市場在研究期間內(nèi)存在顯著地應(yīng)計(jì)異象。在實(shí)證檢驗(yàn)我國資本市場存在應(yīng)計(jì)異象后,基于機(jī)構(gòu)投資者在中國證券市場上的迅速發(fā)展,結(jié)合機(jī)構(gòu)投資者所擁有的信息資源優(yōu)勢以及機(jī)構(gòu)投資者的雙重代理人身份,本文從機(jī)構(gòu)投資者對會計(jì)信息的認(rèn)知程度(機(jī)構(gòu)持股比例越高,應(yīng)越能識別會計(jì)盈余所包含的信息)和不同類型機(jī)構(gòu)投資者監(jiān)督上市公司的積極性出發(fā)研究了機(jī)構(gòu)投資者對于應(yīng)計(jì)異象程度的影響,結(jié)果表明無論是通過分樣本組檢驗(yàn)還是通過引入交乘項(xiàng)的多元回歸檢驗(yàn),實(shí)證結(jié)果都是機(jī)構(gòu)投資者持股比例越高,其應(yīng)計(jì)異象的程度越小,說明機(jī)構(gòu)投資者持股比例的高低對應(yīng)計(jì)異象的緩解程度時(shí)不一致的。同時(shí),本文進(jìn)一步將機(jī)構(gòu)投資者分類為積極型機(jī)構(gòu)投資者和消極型機(jī)構(gòu)投資者后,實(shí)證結(jié)果表明積極型機(jī)構(gòu)投資者所持股票的上市公司表現(xiàn)出的應(yīng)計(jì)異象小于消極型的,說明不同類型的機(jī)構(gòu)投資者對應(yīng)計(jì)異象的緩解程度是不一樣的。對于面臨國家干預(yù)壓力較小,內(nèi)部薪酬激勵(lì)體制較為完善的基金和QFII能通過監(jiān)督干預(yù)管理層的行為來緩解應(yīng)計(jì)異象,而其余的包括券商、保險(xiǎn)、社�；稹⑿磐杏捎谑艿降恼深A(yù)較大,薪酬激勵(lì)體系與業(yè)績不掛鉤,沒有積極監(jiān)督管理層行為的動(dòng)力,因此,消極型的機(jī)構(gòu)投資者相對積極型機(jī)構(gòu)投資者對應(yīng)計(jì)異象的緩解程度小。
[Abstract]:Sloan first put forward the concept of accrual vision in 1996. This paper examines the existence of accrual anomalies based on the financial data of A-share listed companies in China from 2009 to 2012. In order to maintain a complete research framework of accrual anomalies, starting with the persistence of accounting earnings and their different components, the differences in the continuity of cash flow and accrual profits are first tested. Then the accrual profit and future cumulative excess return are analyzed by univariate regression. The results show that accrual profit has a significant negative correlation with future cumulative excess return. After adding the control variable, the accrual profit is still negatively correlated with the future excess return. Finally, the arbitrage investment strategy is used. The results show that the overall excess return can be obtained by more than 10%. All of these methods are tested to some extent corresponding to the existence of vision. The results show that there are significant accrual anomalies in China's capital market during the period of study. Based on the rapid development of institutional investors in China's securities market, combining the advantages of information resources owned by institutional investors and the dual agent identity of institutional investors, this paper examines the existence of accrual anomalies in China's capital market. From the perspective of institutional investors' cognition of accounting information (the higher the proportion of institutional holdings is, The more we can identify the information contained in accounting earnings) and the enthusiasm of different types of institutional investors to supervise listed companies, we study the influence of institutional investors on the degree of accrual anomalies. The results show that the higher the shareholding ratio of institutional investors, the smaller the degree of accrual anomalies. It shows that the ratio of institutional investors holding shares is inconsistent with the degree of mitigation of accounting anomalies. At the same time, after classifying institutional investors into active institutional investors and passive institutional investors, the empirical results show that listed companies with active institutional investors exhibit less accrual anomalies than negative institutional investors. It shows that different types of institutional investors have different mitigation of accrual anomalies. Funds and QFII, which face less pressure from state intervention and better internal compensation incentive systems, can mitigate accrual anomalies by monitoring and intervening in the behavior of management, while the rest include brokers, insurance, and social security funds. Because of the large government intervention, the compensation incentive system is not linked to performance, and there is no incentive to actively supervise the behavior of the management, the passive institutional investors are relatively less relieved of the accrual vision than the active institutional investors.
【學(xué)位授予單位】：重慶理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.51

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